M = -4.84 + 0.92 DSRI + 0.528 GMI + 0.404 AQI + 0.892 SGI + 0.115 DEPI 0.

172 SGAI
+ 4.679 TATA 0.327 LVGI
where

Days Sales in Receivables Index (DSRI). This measures the increase in receivables
and revenues between two reporting periods (the average for well-run companies is
1.031, while those companies that have manipulated sales have an average value of
1.465%).

Depreciation Index (DEPI)

Sales Growth Index (SGI)

Leverage Index (LVGI)

Total Accruals to Total Assets (TATA)

Gross Margin Index (GMI)

Asset Quality Index (AQI)

Sales, General and Administrative Expenses Index (SGAI)

These parameters are calculated from data in company financial reports issued in two
consecutive years. The following data is needed.

Net Sales

Cost of Goods

Net Receivables

Current Assets

Property, Plant and Equipment

Depreciation

Total Assets

Selling, General and Administrative Expenses,

Net Income

Cash Flow from Operations

Current Liabilities

Long-Term Debt

For example, DSRI is defined as

A latter modification to the M-Score equation eliminated some of the less significant
parameters (SGAI, DEPI and LVGI), giving this five-parameter equation
M = -6.065 + 0.823 DSRI + 0.906 GMI + 0.593 AQI + 0.717 SGI + 0.107 DEP
An M-Score greater than -2.22 indicates a high probability of earnings manipulation.
Professor Beneish backtested the equation against the financial reports released by companies
between 1982 to 1992 (some of which had manipulated earnings). The M-Score correctly
identified 76% of those companies that had manipulated earnings. 17.5% of false-positives
were returned.

Beniesh later determined the effectiveness of the M Score as a stock picking tool. A strategy
based on the M-Score gave a yearly hedged returned of 14% (see The Predictable Cost of
Earnings Manipulation, 2007).
This Excel spreadsheet implements both the 5-parameter and 8-parameter version of the MScore. Simply enter the appropriate data from two consecutive company financial reports.

Dengan Zone Diskriminan sbb:

Bila Z > 2.99 = Zone Aman

Bila 1.81 < Z < 2.99 = Zone Abu-abu

Bila Z < 1.81 = Zone Distress

Dengan menggunakan model persamaan tersebut, sepanjang periode 1968 hingga tahun 2000,
Altman telah menguji tak kurang dari 66 perushaan yang sebagian besarnya merupakan
perusahaan jenis manufaktur dan sebagian kecilnya perusahaan jenis lain. Semua perusahaan
yang diuji rata-rata memiliki nilai aset di atas US$1 Juta.
Hasilnya?
Altman mengklaim tingkat akurasi formulanya berkisar antara 80 hingga 90 persen, dengan
potensi error antara 10 hingga 15 persen!
Sejak 1985 Z-score semakin popular, sehingga tidak lagi hanya digunakan dalam penelitianpenelitian akademik, melainkan diadopsi juga oleh kalangan auditor, akuntan manajemen,
bahkan oleh pihak pengadilan di Amerika Serikat dalam melakukan assessment terhadap
perusahaan yang dinyatakan bangkrut.
Namun, Z-score tidak dipergunakan untuk perusahaan jenis jasa keuangan atau lembaga
keuangan (baik swasta maupun pemerintah. Khusus jenis perusahaan ini memang tidak
menggunakan model berbasis Neraca. Hal ini karena adanya kecenderungan perbedaan yang
cukup besar antara Neraca suatu institusi keuangan dengan institusi keuangan lainnya.

Saat ini, formula Z-score untuk perusahaan jenis Manufaktur dan Non-Manufaktur
dibedakan, sbb:
1. Untuk perusahaan manufaktur, menggunakan formula yang terdiri dari 5 koefisien,
yakni:
Z = 0.717T1 + 0.847T2 + 3.107T3 + 0.420T4 + 0.998T5
Dengan zone diskiriman sbb:

Bila Z > 2.9 = Zone Aman

Bila 1.23 < Z < 2.9 = Zone Abu-Abu

Bila Z < 1.23 = Zone Distress

2. Untuk Perusahaan Non-Manufaktur, menggunakan formula yang terdiri dari 4 koefisien

saja, yakni:
Z = 6.56T1 + 3.26T2 + 6.72T3 + 1.05T4
Dengan Zone Diskriminan sbb:

Bila Z > 2.9 = Zone Aman

Bila 1.22 < Z < 2.9 = Zone Abu-abu

Bila Z < 1.22 = Zone Distress